The SASECRSP Interface Engine
CRSP has historically used two different methods to represent dates, whereas SAS has used a third. The three formats are SAS dates, CRSP dates, and integer dates. The SASECRSP engine provides 23 functions, 15 informats, and 10 formats to enable you to easily translate the dates from one internal representation to another. A SASECRSP engine libref must be assigned prior to your use of the CRSP date formats, informats, and functions. See Example 38.6, “Converting Dates Using the CRSP Date Functions.”
SAS dates are stored internally as the number of days since January 1, 1960. The SAS method is an industry standard that provides a great deal of flexibility, including a wide variety of informats, formats, and functions.
CRSP dates are designed to ease time series storage and access. Internally, the dates are stored as an offset in an array of trading days or a trading-day calendar. There are five different CRSP trading-day calendars: Annual, Quarterly, Monthly, Weekly, and Daily. In this sense, there are five different types of CRSP dates, one for each frequency of calendar that it references. The CRSP method provides fewer missing values and makes trading period calculations very easy. However, many valid calendar dates are not available in the CRSP trading calendars, and you must be careful when you use other dates.
Integer dates are a way to represent dates that are platform-independent and maintain the correct sort order. However, the distance between dates is not maintained.
The best way to illustrate the various date formats is to use some sample data. Table 38.6 shows date representations for CRSP daily and monthly data.
Table 38.6: Date Representations for Daily and Monthly Data
|
Date |
SAS Date |
CRSP Date |
CRSP Date |
Integer Date |
|---|---|---|---|---|
|
(Daily) |
(Monthly) |
|||
|
July 31, 1962 |
942 |
21 |
440 |
19620731 |
|
August 31, 1962 |
973 |
44 |
441 |
19620831 |
|
Dec. 30, 1998 |
14,243 |
9190 |
NA* |
19981230 |
|
Dec. 31, 1998 |
14,244 |
9191 |
877 |
19981231 |
|
* Not available if an exact match is requested. |
||||
Having an understanding of the internal differences in representing SAS dates, CRSP dates, and CRSP integer dates helps you use the SASECRSP engine formats, informats, and functions effectively. Always keep in mind the frequency of the CRSP calendar that you are accessing when you specify a CRSP date.
CRSP dates use two types of formats, and five frequencies are available for each type. The two types are exact dates (CRSPDT*) and range dates (CRSPDR*), where the '*' can be A for annual, Q for quarterly, M for monthly, W for weekly, or D for daily. The ten types are CRSPDTA, CRSPDTQ, CRSPDTM, CRSPDTW, CRSPDTD, CRSPDRA, CRSPDRQ, CRSPDRM, CRSPDRW, and CRSPDRD.
Table 38.7 shows some samples that use the monthly and daily calendar as examples. The Annual (CRSPDTA and CRSPDRA), Quarterly (CRSPDTQ and CRSPDRQ), and Weekly (CRSPDTW and CRSPDRW) formats work analogously.
Table 38.7: Sample CRSPDT Formats for Daily and Monthly Data
|
CRSP Date |
CRSPDTD |
CRSPDRD |
CRSPDTM |
CRSPDRM |
|
|---|---|---|---|---|---|
|
Date |
Daily, Monthly |
Daily Date |
Daily Range |
Monthly Date |
Monthly Range |
|
July 31,1962 |
21, 440 |
19620731 |
19620731 + |
19620731 |
19620630, 19620731 |
|
August 31,1962 |
44, 441 |
19620831 |
19620831 + |
19620831 |
19620801, 19620831 |
|
Dec. 30,1998 |
9190, NA * |
19981230 |
19981230 + |
NA* |
NA* |
|
Dec. 31,1998 |
9191, 877 |
19981231 |
19981231 + |
19981231 |
19981201, 19981231 |
|
+ Daily ranges look similar to monthly ranges if they are Mondays or immediately follow a trading holiday. |
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|
* When you are working with exact matches, no CRSP monthly date exists for December 30, 1998. |
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CRSP dates use three types of informats, and five frequencies are available for each type. The three types are exact (@CRSPDT*), range (@CRSPDR*), and backward (@CRSPDB*) dates, where the '*' can be A for annual, Q for quarterly, M for monthly, W for weekly, or D for daily. The 15 formats are @CRSPDTA, @CRSPDTQ, @CRSPDTM, @CRSPDTW, @CRSPDTD, @CRSPDRA, @CRSPDRQ, @CRSPDRM, @CRSPDRW, @CRSPDRD, @CRSPDBA, @CRSPDBQ, @CRSPDBM, @CRSPDBW, and @CRSPDBD.
The five CRSPDT* informats find exact matches only. The five CRSPDR* informats look for an exact match, and if an exact match is not found, they go forward, matching the CRSPDR* formats. The five CRSPDB* informats look for an exact match, and if an exact match is not found, they go backward.
Table 38.8 shows a sample that uses only the CRSP monthly calendar as an example. The daily, weekly, quarterly, and annual frequencies work analogously.
Table 38.8: Sample @CRSP Date Informats Using Monthly Data
|
Input Date |
CRSP Date |
CRSP Date |
CRSP Date |
CRSPDTM |
CRSPDRM |
|---|---|---|---|---|---|
|
(Integer Date) |
CRSPDTM |
CRSPDRM |
CRSPDBM |
Monthly Date |
Monthly Range |
|
19620731 |
440 |
440 |
440 |
19620731 |
19620630 to 19620731 |
|
19620815 |
.(missing) |
441 |
440 |
See below+ |
See below* |
|
19620831 |
441 |
441 |
441 |
19620831 |
19620801 to 19620831 |
|
+ Missing values are preserved. If 441, then 19620831. If 440, then 19620731. |
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|
* Missing values are preserved. If 441, then 19620801 to 19620831. If 440, then 19620630 to 19620731. |
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Table 38.9 shows the 22 date functions that the SASECRSP engine provides. The engine uses these functions internally, but they are also available to end users. There are seven groups of functions. The first four groups have five functions each, one for each CRSP calendar frequency. The next two functions are for converting between SAS and integer date formats.
Table 38.9: CRSP Date Functions
|
Function |
Function |
Argument |
Argument |
Return |
|---|---|---|---|---|
|
Group |
Name |
One |
Two |
Value |
|
CRSP dates to integer dates for December 31, 1998 |
||||
|
Annual |
crspdcia |
74 |
None |
19981231 |
|
Quarterly |
crspdciq |
293 |
None |
19981231 |
|
Monthly |
crspdcim |
877 |
None |
19981231 |
|
Weekly |
crspdciw |
1905 |
None |
19981231 |
|
Daily |
crspdcid |
9191 |
None |
19981231 |
|
CRSP dates to SAS dates for December 31, 1998 |
||||
|
Annual |
crspdcsa |
74 |
None |
14,244 |
|
Quarterly |
crspdcsq |
293 |
None |
14,244 |
|
Monthly |
crspdcsm |
877 |
None |
14,244 |
|
Weekly |
crspdcsw |
1905 |
None |
14,244 |
|
Daily |
crspdcsd |
9191 |
None |
14,244 |
|
Integer dates to CRSP dates exact is illustrated, but can be forward or backward |
||||
|
Annual |
crspdica |
19981231 |
0 |
74 |
|
Quarterly |
crspdicq |
19981231 |
0 |
293 |
|
Monthly |
crspdicm |
19981231 |
0 |
877 |
|
Weekly |
crspdicw |
19981231 |
0 |
1905 |
|
Daily |
crspdicd |
19981231 |
0 |
9191 |
|
SAS dates to CRSP dates exact is illustrated, but can be forward or backward |
||||
|
Annual |
crspdsca |
14,244 |
0 |
74 |
|
Quarterly |
crspdscq |
14,244 |
0 |
293 |
|
Monthly |
crspdscm |
14,244 |
0 |
877 |
|
Weekly |
crspdscw |
14,244 |
0 |
1905 |
|
Daily |
crspdscd |
14,244 |
0 |
9191 |
|
Integer dates to SAS dates for December 31, 1998 |
||||
|
Integer to SAS |
crspdi2s |
19981231 |
None |
14,244 |
|
SAS dates to integer dates for December 31, 1998 |
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|
SAS to Integer |
crspds2i |
14,244 |
None |
19981231 |